No warning at all; blow first, then warning. In Scarborough robbers used to be dealt with in a very summary manner by a sort of Halifax gibbet-law, lynch-law, or an à la lanterne. Another origin is given of this phrase: It is said that Thomas Stafford, in the reign of Queen Mary, seized the castle of Scarborough, not only without warning, but even before the townsfolk knew he was afoot (1557). (See Gone Up.)
This term Scarborrow warning grew, some say, By hasty hanging for rank robbery there. Who that was met, but suspect in that way, Straight he was trust up, whatever he were.
Source: Dictionary of Phrase and Fable, E. Cobham Brewer, 1894